One of the strategies that was considered was exponential moving average (EMA). It is one of the most basic strategies to implement, thus the results are not the best to expect to get. A moving average (MA) is a widely used technical indicator that smooths out price trends by filtering out the noise from random short-term price fluctuations. It is important to note that moving average strategy is mostly beneficial for short-term time series and the ones that do not have drastic increases/decreases over the time. In the results you will see that this method is nothing to compare to total returns for some instruments.
Total returns – a measure of the performance of an asset, usually a share or bond, over a period of time. It indicates the amount of money that could be saved starting from investment date for some period of time with no strategies included.Strategy returns – a measure of the performance of an asset, usually a share or bond, over a period of time with a specific strategy.In our case, we are assuming that for each instrument 5% of total portfolio ($1000 in the beginning) is being invested every time when the strategy tells to invest. It is a safe strategy to not lose all money by investing all of the gained amount. Example: you invest $50 on 2012-01-01 when strategy says to invest. Then on 2012-03-01 the strategy shows that money need to be pulled out with the growth of $70 ($20 gained). Since our portfolio was $1000, now we have $1020. The next time when strategy says to invest, we are investing another 5% from the total portfolio ($1020 this time) which is $51 and continue the same procedure.
Another better scenario (not coded) is to take out not the whole amount of money but 10% and invest 30% when the time comes. There are many different ways to deal with investments.
Please note that in this solution the total portfolio was used for every instrument. To get optimal portfolio split for all instruments it require a lot more time to think of different ways to split the amount and monitor its returns, especially when we have different time series for instruments here.
The code is written in a very common coding manner:
000_run.R – file that should be run to get results, plots and best fits for MA strategy.01_setup.R – libraries that need to be loaded. There are extra libraries since the starting idea was to use neural networks and more advanced statistics but ended up implementing simpler strategy.02_functions.R – functions that are used to create MA strategy.03_strategies.R – a script where functions are called in the correct order with the correct data.04_best_strategy.R – a script where optimal moving averages could be found. This script should be run one to get optimal MAs. Since the assignment was done pretty fast, function that is looking for optimal points is very slow due to nested for loops. In order to get better experience, function should be rewritten. On the other hand, if a function get_returns_new is optimized, running time should increase significantly.documentation_and_results.Rmd – an overview of the strategy selected, code logic and results presented.Please note that most of the data frame manipulations are done with data.table package instead of base or dplyr to optimize the running time as much as possible.
The data set is aggregated per instrument daily with the logic for columns as follows:
open – taking the first record of the day;high – taking the max record of the day;low – taking the min record of the day;close – taking the last record of the day;volume – summing all records per day.Here are going to be presented results for each instrument.
For each instrument the first graph represents trends of the instrument using candle sticks (turn it off to get a smoother view by pressing ‘Stocks’ in the Variables section), selected optimal moving averages for short period of time and Buy/Sell points for our strategy. Second graph represents returns for the total period of time since the first investment of our total portfolio ($1000 as mentioned before). Note that the final number does not represent what is the total saved money is. It indicates how our strategy performs in a graphical manner. Please see the tables below at the last number of Strategy_returns to see the number that is saved.
The gaps between Strategy returns in the second graph is intended to be shown, it is because in the gaps between when strategy says to invest and when it is time to take the money out there is nothing happening with our money because we took all of it out.
Simply saying, the higher the Strategy returns line is, the more money we gain. If the red line is over the blue one, it means that our strategy works better than total returns strategy.
Moreover, please not that there was taken a short term moving averages optimization function. The amount of iteration for each instrument was taken 40 days. For very poorly performing instruments an additional graph is presented what would happen if we would choose long term moving averages (instruments 1004, 1005, 1006).
| Investment_from | Total_portfolio | Investment_percent | investment_money | total_saved | Strategy_returns |
|---|---|---|---|---|---|
| 2018-04-12 | 1000.0000 | 0.05 | 50.00000 | 68.35268 | 0.0000000 |
| 2018-05-09 | 1018.3527 | 0.05 | 50.91763 | 46.91793 | 18.3526751 |
| 2018-06-07 | 1014.3530 | 0.05 | 50.71765 | 44.56894 | 14.3529669 |
| 2018-07-10 | 1008.2043 | 0.05 | 50.41021 | 41.93252 | 8.2042563 |
| 2018-07-31 | 999.7266 | 0.05 | 49.98633 | 41.02562 | -0.2734372 |
| 2018-09-06 | 990.7659 | 0.05 | 49.53829 | 49.75897 | -9.2341463 |
| 2018-10-05 | 990.9865 | 0.05 | 49.54933 | 51.85979 | -9.0134724 |
| 2018-10-07 | 993.2970 | 0.05 | 49.66485 | 42.14074 | -6.7030091 |
| 2018-10-12 | 985.7729 | 0.05 | 49.28864 | 40.91765 | -14.2271194 |
| 2018-11-14 | 977.4019 | 0.05 | 48.87009 | 57.05836 | -22.5981087 |
| 2019-01-13 | 985.5902 | 0.05 | 49.27951 | 48.92333 | -14.4098451 |
| 2019-01-21 | 985.2340 | 0.05 | 49.26170 | 49.72425 | -14.7660272 |
| 2019-02-27 | 985.6965 | 0.05 | 49.28483 | 85.59312 | -14.3034760 |
| 2019-04-19 | 1022.0048 | 0.05 | 51.10024 | 60.41100 | 22.0048179 |
| 2019-06-06 | 1031.3156 | 0.05 | 51.56578 | 47.87521 | 31.3155782 |
| 2019-06-28 | 1027.6250 | 0.05 | 51.38125 | 50.25224 | 27.6250070 |
| 2019-09-12 | 1026.4960 | 0.05 | 51.32480 | 40.98718 | 26.4959920 |
| 2019-09-24 | 1016.1584 | 0.05 | 50.80792 | 46.03981 | 16.1583715 |
| 2019-10-16 | 1011.3903 | 0.05 | 50.56951 | 48.98809 | 11.3902622 |
| 2019-11-20 | 1009.8088 | 0.05 | 50.49044 | 47.21200 | 9.8088418 |
| 2019-12-03 | 1006.5304 | 0.05 | 50.32652 | 84.55612 | 6.5304041 |
| 2020-02-20 | 1040.7600 | 0.05 | 52.03800 | 56.25068 | 40.7599992 |
| 2020-04-16 | 1044.9727 | 0.05 | 52.24863 | 118.92799 | 44.9726770 |
| 2020-06-15 | 1111.6520 | 0.05 | 55.58260 | 56.61304 | 111.6520307 |
| 2020-06-22 | 1112.6825 | 0.05 | 55.63412 | 54.00712 | 112.6824680 |
| 2020-06-28 | 1111.0555 | 0.05 | 55.55277 | 93.62850 | 111.0554640 |
| 2020-08-13 | 1149.1312 | 0.05 | 57.45656 | 53.13059 | 149.1311861 |
| 2020-10-07 | 1144.8052 | 0.05 | 57.24026 | 57.89463 | 144.8052186 |
| 2020-10-27 | 1145.4596 | 0.05 | 57.27298 | 83.64579 | 145.4595864 |
| 2020-12-09 | 1171.8324 | 0.05 | 58.59162 | 58.39348 | 171.8324001 |
| 2020-12-24 | 1171.6343 | 0.05 | 58.58171 | 130.05239 | 171.6342624 |
| 2021-01-28 | 1243.1049 | 0.05 | 62.15525 | 184.71134 | 243.1049371 |
| 2021-03-12 | 1365.6610 | 0.05 | 68.28305 | NA | 365.6610272 |
| Investment_from | Total_portfolio | Investment_percent | investment_money | total_saved | Strategy_returns |
|---|---|---|---|---|---|
| 2014-04-01 | 1000.0000 | 0.05 | 50.00000 | 48.48307 | 0.0000000 |
| 2014-04-08 | 998.4831 | 0.05 | 49.92415 | 48.02673 | -1.5169326 |
| 2014-05-07 | 996.5856 | 0.05 | 49.82928 | 51.01822 | -3.4143604 |
| 2014-07-10 | 997.7746 | 0.05 | 49.88873 | 49.71094 | -2.2254243 |
| 2014-09-25 | 997.5968 | 0.05 | 49.87984 | 52.65142 | -2.4032095 |
| 2014-12-10 | 1000.3684 | 0.05 | 50.01842 | 48.31836 | 0.3683743 |
| 2015-01-07 | 998.6683 | 0.05 | 49.93342 | 61.08967 | -1.3316848 |
| 2015-04-13 | 1009.8246 | 0.05 | 50.49123 | 49.71433 | 9.8245673 |
| 2015-07-29 | 1009.0477 | 0.05 | 50.45238 | 47.06644 | 9.0476668 |
| 2015-08-06 | 1005.6617 | 0.05 | 50.28309 | 49.30372 | 5.6617228 |
| 2015-10-23 | 1004.6824 | 0.05 | 50.23412 | 48.45390 | 4.6823544 |
| 2015-11-05 | 1002.9021 | 0.05 | 50.14511 | 48.53352 | 2.9021326 |
| 2015-11-17 | 1001.2906 | 0.05 | 50.06453 | 49.57421 | 1.2905506 |
| 2015-12-24 | 1000.8002 | 0.05 | 50.04001 | 63.62299 | 0.8002346 |
| 2016-04-08 | 1014.3832 | 0.05 | 50.71916 | 50.56127 | 14.3832145 |
| 2016-05-23 | 1014.2253 | 0.05 | 50.71127 | 48.82193 | 14.2253212 |
| 2016-06-07 | 1012.3360 | 0.05 | 50.61680 | 51.39239 | 12.3359826 |
| 2016-08-02 | 1013.1116 | 0.05 | 50.65558 | 53.64316 | 13.1115765 |
| 2016-10-28 | 1016.0992 | 0.05 | 50.80496 | 50.64713 | 16.0991624 |
| 2016-12-05 | 1015.9413 | 0.05 | 50.79707 | 47.89437 | 15.9413306 |
| 2017-02-01 | 1013.0386 | 0.05 | 50.65193 | 49.66532 | 13.0386357 |
| 2017-04-13 | 1012.0520 | 0.05 | 50.60260 | 49.93521 | 12.0520268 |
| 2017-04-28 | 1011.3846 | 0.05 | 50.56923 | 45.49432 | 11.3846364 |
| 2017-10-10 | 1006.3097 | 0.05 | 50.31549 | 50.86476 | 6.3097243 |
| 2017-10-31 | 1006.8590 | 0.05 | 50.34295 | 48.41087 | 6.8590031 |
| 2018-01-08 | 1004.9269 | 0.05 | 50.24635 | 52.56704 | 4.9269249 |
| 2018-03-19 | 1007.2476 | 0.05 | 50.36238 | 51.13930 | 7.2476221 |
| 2018-05-10 | 1008.0245 | 0.05 | 50.40123 | 49.93580 | 8.0245369 |
| 2018-07-23 | 1007.5591 | 0.05 | 50.37796 | 58.63940 | 7.5591059 |
| 2018-10-12 | 1015.8205 | 0.05 | 50.79103 | 47.58449 | 15.8205490 |
| 2018-10-25 | 1012.6140 | 0.05 | 50.63070 | 47.56415 | 12.6140156 |
| 2018-12-18 | 1009.5475 | 0.05 | 50.47737 | 49.64509 | 9.5474654 |
| 2019-02-08 | 1008.7152 | 0.05 | 50.43576 | 50.51636 | 8.7151864 |
| 2019-04-26 | 1008.7958 | 0.05 | 50.43979 | 54.45772 | 8.7957837 |
| 2019-08-28 | 1012.8137 | 0.05 | 50.64069 | 47.77206 | 12.8137181 |
| 2019-09-20 | 1009.9451 | 0.05 | 50.49725 | 50.23624 | 9.9450910 |
| 2019-11-08 | 1009.6841 | 0.05 | 50.48420 | 47.14253 | 9.6840746 |
| 2020-02-27 | 1006.3424 | 0.05 | 50.31712 | 75.47568 | 6.3424034 |
| 2020-06-24 | 1031.5010 | 0.05 | 51.57505 | 66.64192 | 31.5009634 |
| 2020-09-16 | 1046.5678 | 0.05 | 52.32839 | 50.35034 | 46.5678315 |
| 2020-12-16 | 1044.5898 | 0.05 | 52.22949 | 98.75473 | 44.5897823 |
| 2021-02-12 | 1091.1150 | 0.05 | 54.55575 | 74.00353 | 91.1150269 |
| 2021-03-31 | 1110.5628 | 0.05 | 55.52814 | 45.40531 | 110.5628047 |
| 2021-05-05 | 1100.4400 | 0.05 | 55.02200 | 209.91299 | 100.4399756 |
| 2021-07-08 | 1255.3310 | 0.05 | 62.76655 | 58.45423 | 255.3309636 |
| 2021-09-22 | 1251.0186 | 0.05 | 62.55093 | 57.40226 | 251.0186479 |
| 2021-10-25 | 1245.8700 | 0.05 | 62.29350 | 57.55327 | 245.8699722 |
| 2021-11-29 | 1241.1297 | 0.05 | 62.05649 | 54.97876 | 241.1297410 |
| 2022-02-24 | 1234.0520 | 0.05 | 61.70260 | 51.35705 | 234.0520154 |
| 2022-03-07 | 1223.7065 | 0.05 | 61.18532 | 53.24826 | 223.7064674 |
| 2022-04-12 | 1215.7694 | 0.05 | 60.78847 | 58.72951 | 215.7694051 |
| 2022-06-06 | 1213.7104 | 0.05 | 60.68552 | 59.29541 | 213.7104408 |
| 2022-06-10 | 1212.3203 | 0.05 | 60.61602 | NA | 212.3203301 |
| Investment_from | Total_portfolio | Investment_percent | investment_money | total_saved | Strategy_returns |
|---|---|---|---|---|---|
| 2005-04-26 | 1000.0000 | 0.05 | 50.00000 | 48.46319 | 0.0000000 |
| 2005-05-09 | 998.4632 | 0.05 | 49.92316 | 42.67339 | -1.5368122 |
| 2005-08-22 | 991.2134 | 0.05 | 49.56067 | 48.48675 | -8.7865855 |
| 2006-01-06 | 990.1395 | 0.05 | 49.50697 | 47.78845 | -9.8605073 |
| 2006-01-17 | 988.4210 | 0.05 | 49.42105 | 47.39025 | -11.5790356 |
| 2006-04-20 | 986.3902 | 0.05 | 49.31951 | 48.40329 | -13.6098383 |
| 2006-05-16 | 985.4739 | 0.05 | 49.27370 | 46.87665 | -14.5260531 |
| 2006-06-07 | 983.0769 | 0.05 | 49.15384 | 49.34322 | -16.9231039 |
| 2007-03-05 | 983.2663 | 0.05 | 49.16331 | 46.73534 | -16.7337257 |
| 2007-07-27 | 980.8383 | 0.05 | 49.04191 | 45.99979 | -19.1617016 |
| 2008-01-17 | 977.7962 | 0.05 | 48.88981 | 44.04720 | -22.2038246 |
| 2008-04-14 | 972.9536 | 0.05 | 48.64768 | 41.45096 | -27.0464310 |
| 2008-10-07 | 965.7568 | 0.05 | 48.28784 | 74.96927 | -34.2431534 |
| 2009-12-28 | 992.4383 | 0.05 | 49.62191 | 48.99371 | -7.5617297 |
| 2010-05-27 | 991.8101 | 0.05 | 49.59050 | 48.59905 | -8.1899288 |
| 2011-01-31 | 990.8186 | 0.05 | 49.54093 | 40.94540 | -9.1813865 |
| 2011-05-25 | 982.2231 | 0.05 | 49.11115 | 85.03550 | -17.7769198 |
| 2012-12-05 | 1018.1474 | 0.05 | 50.90737 | 60.70586 | 18.1474250 |
| 2013-09-04 | 1027.9459 | 0.05 | 51.39730 | 47.60163 | 27.9459088 |
| 2013-12-16 | 1024.1502 | 0.05 | 51.20751 | 46.80884 | 24.1502469 |
| 2014-04-15 | 1019.7516 | 0.05 | 50.98758 | 50.95013 | 19.7515776 |
| 2014-07-23 | 1019.7141 | 0.05 | 50.98571 | 44.46719 | 19.7141303 |
| 2014-10-09 | 1013.1956 | 0.05 | 50.65978 | 51.21572 | 13.1956174 |
| 2015-04-28 | 1013.7516 | 0.05 | 50.68758 | 44.26862 | 13.7515573 |
| 2016-04-19 | 1007.3326 | 0.05 | 50.36663 | 47.76803 | 7.3325986 |
| 2016-09-28 | 1004.7340 | 0.05 | 50.23670 | 44.92186 | 4.7339961 |
| 2016-12-21 | 999.4192 | 0.05 | 49.97096 | 48.02825 | -0.5808434 |
| 2017-03-15 | 997.4765 | 0.05 | 49.87382 | 45.91229 | -2.5235477 |
| 2017-05-25 | 993.5149 | 0.05 | 49.67575 | 65.35100 | -6.4850843 |
| 2018-03-26 | 1009.1902 | 0.05 | 50.45951 | 47.42041 | 9.1901747 |
| 2018-07-23 | 1006.1511 | 0.05 | 50.30755 | 49.68589 | 6.1510729 |
| 2018-09-04 | 1005.5294 | 0.05 | 50.27647 | 44.70817 | 5.5294058 |
| 2019-03-25 | 999.9611 | 0.05 | 49.99806 | 46.89833 | -0.0388940 |
| 2019-05-10 | 996.8614 | 0.05 | 49.84307 | 39.74820 | -3.1386169 |
| 2020-02-27 | 986.7665 | 0.05 | 49.33833 | 127.02074 | -13.2334894 |
| 2021-07-19 | 1064.4489 | 0.05 | 53.22245 | NA | 64.4489247 |
Additional graph: better strategy performance with longer moving averages. MA1 = 147, MA2 = 300 days.
| Investment_from | Total_portfolio | Investment_percent | investment_money | total_saved | Strategy_returns |
|---|---|---|---|---|---|
| 2005-03-17 | 1000.000 | 0.05 | 50.00000 | 50.00000 | 0.000000 |
| 2005-04-13 | 1000.000 | 0.05 | 50.00000 | 51.19539 | 0.000000 |
| 2005-04-21 | 1001.195 | 0.05 | 50.05977 | 50.72691 | 1.195394 |
| 2005-07-21 | 1001.863 | 0.05 | 50.09313 | 51.01329 | 1.862538 |
| 2005-08-22 | 1002.783 | 0.05 | 50.13913 | 49.46843 | 2.782697 |
| 2005-10-31 | 1002.112 | 0.05 | 50.10560 | 50.58090 | 2.111992 |
| 2005-11-14 | 1002.587 | 0.05 | 50.12936 | 50.81837 | 2.587293 |
| 2005-11-28 | 1003.276 | 0.05 | 50.16381 | 50.90742 | 3.276300 |
| 2006-01-30 | 1004.020 | 0.05 | 50.20100 | 49.92212 | 4.019901 |
| 2006-02-09 | 1003.741 | 0.05 | 50.18705 | 50.72501 | 3.741027 |
| 2006-02-16 | 1004.279 | 0.05 | 50.21395 | 50.41705 | 4.278989 |
| 2006-05-02 | 1004.482 | 0.05 | 50.22410 | 50.68040 | 4.482091 |
| 2006-07-07 | 1004.938 | 0.05 | 50.24692 | 51.57668 | 4.938388 |
| 2006-07-19 | 1006.268 | 0.05 | 50.31341 | 50.70989 | 6.268151 |
| 2006-09-26 | 1006.665 | 0.05 | 50.33323 | 53.81804 | 6.664632 |
| 2006-10-23 | 1010.149 | 0.05 | 50.50747 | 50.33960 | 10.149445 |
| 2007-03-20 | 1009.982 | 0.05 | 50.49908 | 51.88958 | 9.981569 |
| 2007-05-31 | 1011.372 | 0.05 | 50.56860 | 51.66562 | 11.372075 |
| 2007-06-27 | 1012.469 | 0.05 | 50.62345 | 51.64502 | 12.469094 |
| 2007-09-07 | 1013.491 | 0.05 | 50.67453 | 53.99534 | 13.490662 |
| 2008-01-09 | 1016.811 | 0.05 | 50.84057 | 51.29813 | 16.811469 |
| 2008-03-13 | 1017.269 | 0.05 | 50.86345 | 53.54272 | 17.269023 |
| 2008-03-20 | 1019.948 | 0.05 | 50.99741 | 45.84730 | 19.948288 |
| 2008-08-04 | 1014.798 | 0.05 | 50.73991 | 52.97921 | 14.798176 |
| 2008-09-12 | 1017.037 | 0.05 | 50.85187 | 52.85213 | 17.037475 |
| 2008-10-03 | 1019.038 | 0.05 | 50.95189 | 46.47794 | 19.037733 |
| 2008-12-01 | 1014.564 | 0.05 | 50.72819 | 52.77250 | 14.563788 |
| 2009-01-02 | 1016.608 | 0.05 | 50.83041 | 49.31470 | 16.608103 |
| 2009-03-19 | 1015.092 | 0.05 | 50.75462 | 53.32871 | 15.092402 |
| 2009-05-15 | 1017.666 | 0.05 | 50.88332 | 51.44967 | 17.666497 |
| 2009-08-24 | 1018.233 | 0.05 | 50.91164 | 51.20446 | 18.232840 |
| 2009-08-28 | 1018.526 | 0.05 | 50.92628 | 51.86642 | 18.525658 |
| 2009-09-03 | 1019.466 | 0.05 | 50.97329 | 52.50224 | 19.465797 |
| 2009-11-09 | 1020.995 | 0.05 | 51.04974 | 49.58313 | 20.994747 |
| 2010-02-22 | 1019.528 | 0.05 | 50.97641 | 53.14567 | 19.528142 |
| 2010-03-22 | 1021.697 | 0.05 | 51.08487 | 50.01037 | 21.697406 |
| 2010-06-17 | 1020.623 | 0.05 | 51.03115 | 53.25158 | 20.622906 |
| 2010-07-12 | 1022.843 | 0.05 | 51.14217 | 52.22141 | 22.843338 |
| 2011-02-17 | 1023.923 | 0.05 | 51.19613 | 53.63855 | 23.922577 |
| 2011-03-25 | 1026.365 | 0.05 | 51.31825 | 52.22598 | 26.364998 |
| 2011-06-30 | 1027.273 | 0.05 | 51.36364 | 52.21751 | 27.272731 |
| 2011-08-18 | 1028.127 | 0.05 | 51.40633 | 51.54781 | 28.126604 |
| 2011-08-24 | 1028.268 | 0.05 | 51.41340 | 51.54034 | 28.268085 |
| 2011-10-28 | 1028.395 | 0.05 | 51.41975 | 51.82428 | 28.395019 |
| 2011-12-08 | 1028.800 | 0.05 | 51.43998 | 52.16567 | 28.799544 |
| 2012-02-08 | 1029.525 | 0.05 | 51.47626 | 53.09213 | 29.525233 |
| 2012-06-15 | 1031.141 | 0.05 | 51.55705 | 52.27386 | 31.141098 |
| 2012-09-19 | 1031.858 | 0.05 | 51.59290 | 51.17543 | 31.857901 |
| 2012-09-28 | 1031.440 | 0.05 | 51.57202 | 50.91945 | 31.440433 |
| 2012-11-26 | 1030.788 | 0.05 | 51.53939 | 51.79067 | 30.787866 |
| 2013-01-08 | 1031.039 | 0.05 | 51.55196 | 52.48836 | 31.039140 |
| 2013-01-17 | 1031.976 | 0.05 | 51.59878 | 52.18493 | 31.975546 |
| 2013-01-30 | 1032.562 | 0.05 | 51.62809 | 52.12516 | 32.561703 |
| 2013-07-10 | 1033.059 | 0.05 | 51.65294 | 51.30274 | 33.058782 |
| 2013-09-18 | 1032.709 | 0.05 | 51.63543 | 52.62742 | 32.708582 |
| 2013-10-21 | 1033.701 | 0.05 | 51.68503 | 52.76388 | 33.700576 |
| 2013-12-24 | 1034.779 | 0.05 | 51.73897 | 50.31746 | 34.779430 |
| 2014-03-10 | 1033.358 | 0.05 | 51.66790 | 52.18699 | 33.357918 |
| 2014-08-20 | 1033.877 | 0.05 | 51.69385 | 54.09903 | 33.877011 |
| 2014-11-11 | 1036.282 | 0.05 | 51.81411 | 53.18413 | 36.282189 |
| 2014-12-30 | 1037.652 | 0.05 | 51.88261 | 53.22999 | 37.652213 |
| 2015-01-08 | 1039.000 | 0.05 | 51.94998 | 53.46553 | 38.999595 |
| 2015-02-27 | 1040.515 | 0.05 | 52.02576 | 52.63768 | 40.515143 |
| 2015-04-10 | 1041.127 | 0.05 | 52.05635 | 52.72636 | 41.127068 |
| 2015-04-23 | 1041.797 | 0.05 | 52.08985 | 52.40841 | 41.797077 |
| 2015-05-04 | 1042.116 | 0.05 | 52.10578 | 52.03969 | 42.115638 |
| 2015-05-11 | 1042.050 | 0.05 | 52.10248 | 53.80292 | 42.049542 |
| 2015-07-14 | 1043.750 | 0.05 | 52.18750 | 52.54649 | 43.749982 |
| 2015-09-28 | 1044.109 | 0.05 | 52.20545 | 53.00179 | 44.108975 |
| 2015-11-20 | 1044.905 | 0.05 | 52.24527 | 53.98889 | 44.905313 |
| 2016-02-01 | 1046.649 | 0.05 | 52.33245 | 54.40798 | 46.648933 |
| 2016-05-13 | 1048.724 | 0.05 | 52.43622 | 53.93943 | 48.724465 |
| 2016-06-08 | 1050.228 | 0.05 | 52.51138 | 54.47795 | 50.227667 |
| 2016-07-05 | 1052.194 | 0.05 | 52.60971 | 51.39915 | 52.194234 |
| 2016-10-25 | 1050.984 | 0.05 | 52.54918 | 53.13162 | 50.983671 |
| 2016-11-08 | 1051.566 | 0.05 | 52.57831 | 54.11963 | 51.566111 |
| 2016-12-12 | 1053.107 | 0.05 | 52.65537 | 53.78366 | 53.107431 |
| 2017-01-25 | 1054.236 | 0.05 | 52.71179 | 53.95658 | 54.235716 |
| 2017-02-27 | 1055.481 | 0.05 | 52.77403 | 53.80838 | 55.480509 |
| 2017-07-25 | 1056.515 | 0.05 | 52.82574 | 53.34869 | 56.514867 |
| 2017-09-05 | 1057.038 | 0.05 | 52.85189 | 54.19350 | 57.037814 |
| 2017-10-11 | 1058.379 | 0.05 | 52.91897 | 54.30391 | 58.379423 |
| 2017-11-10 | 1059.764 | 0.05 | 52.98822 | 53.91217 | 59.764365 |
| 2017-12-05 | 1060.688 | 0.05 | 53.03442 | 54.29910 | 60.688322 |
| 2017-12-15 | 1061.953 | 0.05 | 53.09765 | 53.69414 | 61.953002 |
| 2018-01-08 | 1062.549 | 0.05 | 53.12747 | 52.66114 | 62.549488 |
| 2018-04-06 | 1062.083 | 0.05 | 53.10416 | 53.41467 | 62.083154 |
| 2018-05-31 | 1062.394 | 0.05 | 53.11968 | 54.13770 | 62.393664 |
| 2018-09-13 | 1063.412 | 0.05 | 53.17058 | 55.43793 | 63.411682 |
| 2018-10-24 | 1065.679 | 0.05 | 53.28395 | 53.13895 | 65.679032 |
| 2019-01-24 | 1065.534 | 0.05 | 53.27670 | 54.50162 | 65.534027 |
| 2019-01-31 | 1066.759 | 0.05 | 53.33795 | 56.01342 | 66.758947 |
| 2019-03-26 | 1069.434 | 0.05 | 53.47172 | 53.43196 | 69.434422 |
| 2019-10-22 | 1069.395 | 0.05 | 53.46973 | 53.95024 | 69.394662 |
| 2019-11-01 | 1069.875 | 0.05 | 53.49376 | 54.44250 | 69.875171 |
| 2019-11-27 | 1070.824 | 0.05 | 53.54120 | 49.06327 | 70.823911 |
| 2020-04-14 | 1066.346 | 0.05 | 53.31730 | 55.50856 | 66.345985 |
| 2020-04-29 | 1068.537 | 0.05 | 53.42686 | 55.73440 | 68.537248 |
| 2020-05-28 | 1070.845 | 0.05 | 53.54224 | 56.21577 | 70.844786 |
| 2020-07-17 | 1073.518 | 0.05 | 53.67592 | 55.28570 | 73.518315 |
| 2020-10-09 | 1075.128 | 0.05 | 53.75640 | 60.42684 | 75.128099 |
| 2020-11-10 | 1081.799 | 0.05 | 54.08993 | 54.15462 | 81.798529 |
| 2021-02-16 | 1081.863 | 0.05 | 54.09316 | 55.83718 | 81.863219 |
| 2021-07-14 | 1083.607 | 0.05 | 54.18036 | 53.00709 | 83.607234 |
| 2021-10-18 | 1082.434 | 0.05 | 54.12170 | 54.49139 | 82.433962 |
| 2021-10-20 | 1082.804 | 0.05 | 54.14018 | 58.65221 | 82.803649 |
| 2021-12-13 | 1087.316 | 0.05 | 54.36578 | 57.30247 | 87.315674 |
| 2022-03-25 | 1090.252 | 0.05 | 54.51262 | 57.40094 | 90.252365 |
| 2022-06-24 | 1093.141 | 0.05 | 0.00000 | NA | 93.140687 |
Additional graph: better strategy performance with longer moving averages. MA1 = 147, MA2 = 300 days.
| Investment_from | Total_portfolio | Investment_percent | investment_money | total_saved | Strategy_returns |
|---|---|---|---|---|---|
| 2005-02-22 | 1000.0000 | 0.05 | 50.00000 | 51.19625 | 0.0000000 |
| 2005-02-23 | 1001.1962 | 0.05 | 50.05981 | 49.30098 | 1.1962469 |
| 2005-03-10 | 1000.4374 | 0.05 | 50.02187 | 51.20955 | 0.4374100 |
| 2005-04-04 | 1001.6251 | 0.05 | 50.08125 | 50.25739 | 1.6250873 |
| 2005-04-21 | 1001.8012 | 0.05 | 50.09006 | 50.99797 | 1.8012234 |
| 2005-06-01 | 1002.7091 | 0.05 | 50.13546 | 49.69455 | 2.7091336 |
| 2005-08-05 | 1002.2682 | 0.05 | 50.11341 | 50.48432 | 2.2682227 |
| 2005-09-16 | 1002.6391 | 0.05 | 50.13196 | 49.80098 | 2.6391314 |
| 2005-10-10 | 1002.3081 | 0.05 | 50.11541 | 52.57864 | 2.3081499 |
| 2005-12-13 | 1004.7714 | 0.05 | 50.23857 | 49.42030 | 4.7713850 |
| 2006-01-03 | 1003.9531 | 0.05 | 50.19766 | 49.25149 | 3.9531109 |
| 2006-01-20 | 1003.0069 | 0.05 | 50.15035 | 50.66760 | 3.0069444 |
| 2006-03-03 | 1003.5242 | 0.05 | 50.17621 | 48.49449 | 3.5241999 |
| 2006-03-16 | 1001.8425 | 0.05 | 50.09212 | 48.06603 | 1.8424808 |
| 2006-05-05 | 999.8164 | 0.05 | 49.99082 | 50.91218 | -0.1836113 |
| 2006-07-18 | 1000.7378 | 0.05 | 50.03689 | 51.13641 | 0.7377532 |
| 2006-08-02 | 1001.8373 | 0.05 | 50.09186 | 51.39098 | 1.8372766 |
| 2006-09-15 | 1003.1364 | 0.05 | 50.15682 | 50.42460 | 3.1363922 |
| 2006-10-13 | 1003.4042 | 0.05 | 50.17021 | 50.04340 | 3.4041677 |
| 2006-11-15 | 1003.2774 | 0.05 | 50.16387 | 50.11654 | 3.2773565 |
| 2006-11-22 | 1003.2300 | 0.05 | 50.16150 | 49.79833 | 3.2300302 |
| 2006-11-28 | 1002.8669 | 0.05 | 50.14334 | 49.98614 | 2.8668538 |
| 2007-01-08 | 1002.7097 | 0.05 | 50.13548 | 50.03523 | 2.7096550 |
| 2007-01-31 | 1002.6094 | 0.05 | 50.13047 | 49.41041 | 2.6094018 |
| 2007-02-07 | 1001.8893 | 0.05 | 50.09447 | 49.96318 | 1.8893402 |
| 2007-02-22 | 1001.7580 | 0.05 | 50.08790 | 49.69534 | 1.7580496 |
| 2007-04-09 | 1001.3655 | 0.05 | 50.06827 | 49.89787 | 1.3654873 |
| 2007-04-27 | 1001.1951 | 0.05 | 50.05975 | 49.59057 | 1.1950871 |
| 2007-05-02 | 1000.7259 | 0.05 | 50.03629 | 49.71315 | 0.7258980 |
| 2007-06-08 | 1000.4028 | 0.05 | 50.02014 | 56.21411 | 0.4027563 |
| 2007-10-31 | 1006.5967 | 0.05 | 50.32984 | 51.32147 | 6.5967316 |
| 2007-12-19 | 1007.5884 | 0.05 | 50.37942 | 49.66344 | 7.5883690 |
| 2008-01-03 | 1006.8724 | 0.05 | 50.34362 | 50.24539 | 6.8723912 |
| 2008-03-05 | 1006.7742 | 0.05 | 50.33871 | 50.89021 | 6.7741601 |
| 2008-04-17 | 1007.3257 | 0.05 | 50.36628 | 49.64954 | 7.3256641 |
| 2008-05-22 | 1006.6089 | 0.05 | 50.33045 | 49.08166 | 6.6089257 |
| 2008-06-19 | 1005.3601 | 0.05 | 50.26801 | 53.71718 | 5.3601364 |
| 2008-09-22 | 1008.8093 | 0.05 | 50.44047 | 47.36389 | 8.8093054 |
| 2008-10-08 | 1005.7327 | 0.05 | 50.28664 | 49.78106 | 5.7327275 |
| 2008-11-18 | 1005.2272 | 0.05 | 50.26136 | 47.57345 | 5.2271511 |
| 2008-11-20 | 1002.5392 | 0.05 | 50.12696 | 48.76178 | 2.5392478 |
| 2008-12-02 | 1001.1741 | 0.05 | 50.05870 | 48.51282 | 1.1740680 |
| 2009-01-12 | 999.6282 | 0.05 | 49.98141 | 49.63790 | -0.3718184 |
| 2009-03-23 | 999.2847 | 0.05 | 49.96423 | 55.11713 | -0.7153311 |
| 2009-06-11 | 1004.4376 | 0.05 | 50.22188 | 51.07899 | 4.4375622 |
| 2009-08-06 | 1005.2947 | 0.05 | 50.26473 | 49.68243 | 5.2946791 |
| 2009-09-04 | 1004.7124 | 0.05 | 50.23562 | 58.47504 | 4.7123754 |
| 2009-12-10 | 1012.9518 | 0.05 | 50.64759 | 50.11833 | 12.9517939 |
| 2009-12-18 | 1012.4225 | 0.05 | 50.62113 | 51.38714 | 12.4225327 |
| 2010-01-19 | 1013.1885 | 0.05 | 50.65943 | 50.54211 | 13.1885484 |
| 2010-01-22 | 1013.0712 | 0.05 | 50.65356 | 51.96126 | 13.0712300 |
| 2010-03-12 | 1014.3789 | 0.05 | 50.71895 | 50.58331 | 14.3789292 |
| 2010-04-01 | 1014.2433 | 0.05 | 50.71216 | 50.26477 | 14.2432923 |
| 2010-04-30 | 1013.7959 | 0.05 | 50.68980 | 50.13052 | 13.7959010 |
| 2010-05-21 | 1013.2366 | 0.05 | 50.66183 | 50.81012 | 13.2366229 |
| 2010-06-15 | 1013.3849 | 0.05 | 50.66925 | 51.10814 | 13.3849124 |
| 2010-06-17 | 1013.8238 | 0.05 | 50.69119 | 50.22872 | 13.8238091 |
| 2010-06-22 | 1013.3613 | 0.05 | 50.66807 | 49.33629 | 13.3613354 |
| 2010-08-04 | 1012.0296 | 0.05 | 50.60148 | 50.41659 | 12.0295595 |
| 2010-09-30 | 1011.8447 | 0.05 | 50.59223 | 51.90827 | 11.8446700 |
| 2010-11-17 | 1013.1607 | 0.05 | 50.65804 | 51.27461 | 13.1607109 |
| 2011-01-11 | 1013.7773 | 0.05 | 50.68886 | 49.23205 | 13.7772816 |
| 2011-01-31 | 1012.3205 | 0.05 | 50.61602 | 50.11525 | 12.3204670 |
| 2011-02-17 | 1011.8197 | 0.05 | 50.59098 | 55.48225 | 11.8196960 |
| 2011-05-31 | 1016.7110 | 0.05 | 50.83555 | 50.53699 | 16.7109646 |
| 2011-06-02 | 1016.4124 | 0.05 | 50.82062 | 49.73141 | 16.4124058 |
| 2011-07-26 | 1015.3232 | 0.05 | 50.76616 | 51.62708 | 15.3231977 |
| 2011-09-12 | 1016.1841 | 0.05 | 50.80921 | 49.00115 | 16.1841129 |
| 2011-09-23 | 1014.3761 | 0.05 | 50.71880 | 50.52526 | 14.3760601 |
| 2011-11-02 | 1014.1825 | 0.05 | 50.70913 | 52.06188 | 14.1825166 |
| 2012-01-12 | 1015.5353 | 0.05 | 50.77676 | 49.75474 | 15.5352734 |
| 2012-01-24 | 1014.5133 | 0.05 | 50.72566 | 52.63018 | 14.5132506 |
| 2012-03-29 | 1016.4178 | 0.05 | 50.82089 | 51.04818 | 16.4177655 |
| 2012-04-05 | 1016.6451 | 0.05 | 50.83225 | 50.54317 | 16.6450596 |
| 2012-04-10 | 1016.3560 | 0.05 | 50.81780 | 48.88928 | 16.3559720 |
| 2012-04-30 | 1014.4274 | 0.05 | 50.72137 | 49.04336 | 14.4274497 |
| 2012-06-20 | 1012.7494 | 0.05 | 50.63747 | 56.67775 | 12.7494368 |
| 2012-10-10 | 1018.7897 | 0.05 | 50.93949 | 50.19162 | 18.7897115 |
| 2012-10-24 | 1018.0418 | 0.05 | 50.90209 | 48.97468 | 18.0418423 |
| 2012-11-08 | 1016.1144 | 0.05 | 50.80572 | 51.02505 | 16.1144292 |
| 2012-12-20 | 1016.3338 | 0.05 | 50.81669 | 57.02429 | 16.3337577 |
| 2013-03-19 | 1022.5414 | 0.05 | 51.12707 | 51.28350 | 22.5413638 |
| 2013-04-26 | 1022.6978 | 0.05 | 51.13489 | 50.47768 | 22.6977974 |
| 2013-06-03 | 1022.0406 | 0.05 | 51.10203 | 49.95325 | 22.0405889 |
| 2013-06-21 | 1020.8918 | 0.05 | 51.04459 | 52.39725 | 20.8918131 |
| 2013-08-16 | 1022.2445 | 0.05 | 51.11222 | 49.75407 | 22.2444755 |
| 2013-09-26 | 1020.8863 | 0.05 | 51.04432 | 54.02409 | 20.8863211 |
| 2013-12-05 | 1023.8661 | 0.05 | 51.19330 | 51.41979 | 23.8660929 |
| 2013-12-11 | 1024.0926 | 0.05 | 51.20463 | 50.31470 | 24.0925789 |
| 2014-03-06 | 1023.2027 | 0.05 | 51.16013 | 51.75292 | 23.2026541 |
| 2014-03-24 | 1023.7954 | 0.05 | 51.18977 | 52.07664 | 23.7954439 |
| 2014-05-15 | 1024.6823 | 0.05 | 51.23412 | 51.04448 | 24.6823154 |
| 2014-07-28 | 1024.4927 | 0.05 | 51.22463 | 53.16135 | 24.4926772 |
| 2014-10-02 | 1026.4294 | 0.05 | 51.32147 | 51.55548 | 26.4293982 |
| 2014-10-14 | 1026.6634 | 0.05 | 51.33317 | 54.43376 | 26.6634057 |
| 2014-12-16 | 1029.7640 | 0.05 | 51.48820 | 50.39128 | 29.7639917 |
| 2015-01-05 | 1028.6671 | 0.05 | 51.43335 | 47.83581 | 28.6670678 |
| 2015-01-28 | 1025.0695 | 0.05 | 51.25348 | 49.76170 | 25.0695280 |
| 2015-03-27 | 1023.5777 | 0.05 | 51.17889 | 50.25815 | 23.5777487 |
| 2015-04-24 | 1022.6570 | 0.05 | 51.13285 | 50.58856 | 22.6570139 |
| 2015-05-22 | 1022.1127 | 0.05 | 51.10564 | 51.23725 | 22.1127250 |
| 2015-06-16 | 1022.2443 | 0.05 | 51.11222 | 49.53611 | 22.2443377 |
| 2015-06-30 | 1020.6682 | 0.05 | 51.03341 | 51.39358 | 20.6682297 |
| 2015-07-28 | 1021.0284 | 0.05 | 51.05142 | 55.30345 | 21.0283972 |
| 2015-11-11 | 1025.2804 | 0.05 | 51.26402 | 51.18979 | 25.2804248 |
| 2015-12-01 | 1025.2062 | 0.05 | 51.26031 | 52.64971 | 25.2061903 |
| 2016-01-06 | 1026.5956 | 0.05 | 51.32978 | 54.55716 | 26.5955901 |
| 2016-03-01 | 1029.8230 | 0.05 | 51.49115 | 50.57119 | 29.8229739 |
| 2016-03-15 | 1028.9030 | 0.05 | 51.44515 | 51.15542 | 28.9030108 |
| 2016-04-14 | 1028.6133 | 0.05 | 51.43066 | 49.71997 | 28.6132820 |
| 2016-04-21 | 1026.9026 | 0.05 | 51.34513 | 49.85043 | 26.9025922 |
| 2016-05-18 | 1025.4079 | 0.05 | 51.27039 | 51.80478 | 25.4078887 |
| 2016-06-28 | 1025.9423 | 0.05 | 51.29711 | 52.26083 | 25.9422748 |
| 2016-07-29 | 1026.9060 | 0.05 | 51.34530 | 52.36627 | 26.9059912 |
| 2016-09-12 | 1027.9270 | 0.05 | 51.39635 | 51.46611 | 27.9269628 |
| 2016-10-14 | 1027.9967 | 0.05 | 51.39984 | 51.30512 | 27.9967236 |
| 2016-11-07 | 1027.9020 | 0.05 | 51.39510 | 49.64738 | 27.9020061 |
| 2016-11-10 | 1026.1543 | 0.05 | 51.30771 | 51.86006 | 26.1542883 |
| 2017-01-04 | 1026.7066 | 0.05 | 51.33533 | 50.54473 | 26.7066350 |
| 2017-01-11 | 1025.9160 | 0.05 | 51.29580 | 54.40004 | 25.9160293 |
| 2017-03-09 | 1029.0203 | 0.05 | 51.45101 | 51.05611 | 29.0202729 |
| 2017-03-27 | 1028.6254 | 0.05 | 51.43127 | 50.99268 | 28.6253722 |
| 2017-04-24 | 1028.1868 | 0.05 | 51.40934 | 51.34506 | 28.1867832 |
| 2017-04-27 | 1028.1225 | 0.05 | 51.40613 | 51.27060 | 28.1224999 |
| 2017-06-29 | 1027.9870 | 0.05 | 51.39935 | 53.94164 | 27.9869734 |
| 2017-09-25 | 1030.5293 | 0.05 | 51.52646 | 48.63427 | 30.5292685 |
| 2017-10-23 | 1027.6371 | 0.05 | 51.38185 | 52.64618 | 27.6370775 |
| 2018-01-04 | 1028.9014 | 0.05 | 51.44507 | 49.24585 | 28.9013991 |
| 2018-01-25 | 1026.7022 | 0.05 | 51.33511 | 51.84485 | 26.7021829 |
| 2018-04-03 | 1027.2119 | 0.05 | 51.36060 | 50.93259 | 27.2119278 |
| 2018-04-13 | 1026.7839 | 0.05 | 51.33920 | 48.52078 | 26.7839252 |
| 2018-04-20 | 1023.9655 | 0.05 | 51.19828 | 58.00834 | 23.9655113 |
| 2018-09-07 | 1030.7756 | 0.05 | 51.53878 | 51.34138 | 30.7755807 |
| 2018-09-28 | 1030.5782 | 0.05 | 51.52891 | 50.84621 | 30.5781784 |
| 2018-10-04 | 1029.8955 | 0.05 | 51.49477 | 54.14836 | 29.8954844 |
| 2018-12-20 | 1032.5491 | 0.05 | 51.62745 | 51.34748 | 32.5490705 |
| 2019-01-11 | 1032.2691 | 0.05 | 51.61345 | 51.66872 | 32.2690960 |
| 2019-01-17 | 1032.3244 | 0.05 | 51.61622 | 54.09424 | 32.3243629 |
| 2019-01-23 | 1034.8024 | 0.05 | 51.74012 | 54.13069 | 34.8023848 |
| 2019-03-08 | 1037.1930 | 0.05 | 51.85965 | 55.20110 | 37.1929559 |
| 2019-04-26 | 1040.5344 | 0.05 | 52.02672 | 52.71174 | 40.5344066 |
| 2019-05-10 | 1041.2194 | 0.05 | 52.06097 | 51.16802 | 41.2194282 |
| 2019-05-29 | 1040.3265 | 0.05 | 52.01632 | 55.26226 | 40.3264800 |
| 2019-07-26 | 1043.5724 | 0.05 | 52.17862 | 51.48435 | 43.5724179 |
| 2019-08-06 | 1042.8781 | 0.05 | 52.14391 | 55.36774 | 42.8781441 |
| 2019-10-04 | 1046.1020 | 0.05 | 52.30510 | 51.61822 | 46.1019733 |
| 2019-10-09 | 1045.4151 | 0.05 | 52.27075 | 50.50813 | 45.4150900 |
| 2019-11-06 | 1043.6525 | 0.05 | 52.18262 | 51.83421 | 43.6524673 |
| 2019-11-25 | 1043.3040 | 0.05 | 52.16520 | 52.58933 | 43.3040499 |
| 2020-01-03 | 1043.7282 | 0.05 | 52.18641 | 52.66483 | 43.7281724 |
| 2020-02-13 | 1044.2066 | 0.05 | 52.21033 | 50.04690 | 44.2065948 |
| 2020-02-25 | 1042.0432 | 0.05 | 52.10216 | 55.49432 | 42.0431633 |
| 2020-04-29 | 1045.4353 | 0.05 | 52.27177 | 52.95766 | 45.4353250 |
| 2020-06-25 | 1046.1212 | 0.05 | 52.30606 | 53.51239 | 46.1212202 |
| 2020-06-29 | 1047.3276 | 0.05 | 52.36638 | 61.05071 | 47.3275503 |
| 2020-09-09 | 1056.0119 | 0.05 | 52.80059 | 53.31832 | 56.0118843 |
| 2020-09-11 | 1056.5296 | 0.05 | 52.82648 | 52.34636 | 56.5296082 |
| 2020-09-18 | 1056.0495 | 0.05 | 52.80247 | 52.51087 | 56.0494921 |
| 2020-10-29 | 1055.7579 | 0.05 | 52.78789 | 51.58645 | 55.7578920 |
| 2020-11-10 | 1054.5564 | 0.05 | 52.72782 | 51.81402 | 54.5564429 |
| 2020-11-20 | 1053.6426 | 0.05 | 52.68213 | 52.19975 | 53.6426448 |
| 2020-12-23 | 1053.1603 | 0.05 | 52.65801 | 52.34226 | 53.1602614 |
| 2021-01-13 | 1052.8445 | 0.05 | 52.64223 | 54.78662 | 52.8445093 |
| 2021-04-26 | 1054.9889 | 0.05 | 52.74945 | 51.77757 | 54.9889077 |
| 2021-06-01 | 1054.0170 | 0.05 | 52.70085 | 56.22058 | 54.0170295 |
| 2021-08-27 | 1057.5368 | 0.05 | 52.87684 | 52.47710 | 57.5367566 |
| 2021-09-21 | 1057.1370 | 0.05 | 52.85685 | 53.27950 | 57.1370192 |
| 2021-10-13 | 1057.5597 | 0.05 | 52.87798 | 51.30665 | 57.5596658 |
| 2021-10-21 | 1055.9883 | 0.05 | 52.79942 | 54.68700 | 55.9883364 |
| 2021-12-02 | 1057.8759 | 0.05 | 52.89380 | 55.34783 | 57.8759146 |
| 2022-01-12 | 1060.3299 | 0.05 | 53.01650 | 51.92418 | 60.3299444 |
| 2022-01-27 | 1059.2376 | 0.05 | 52.96188 | 53.92094 | 59.2376320 |
| 2022-02-02 | 1060.1967 | 0.05 | 53.00983 | 50.39480 | 60.1966877 |
| 2022-02-11 | 1057.5816 | 0.05 | 52.87908 | 55.32534 | 57.5816498 |
| 2022-05-04 | 1060.0279 | 0.05 | 53.00140 | NA | 60.0279110 |
Additional graph: better strategy performance with longer moving averages. MA1 = 147, MA2 = 300 days.
| Investment_from | Total_portfolio | Investment_percent | investment_money | total_saved | Strategy_returns |
|---|---|---|---|---|---|
| 2010-07-26 | 1000.0000 | 0.05 | 50.00000 | 49.47444 | 0.0000000 |
| 2010-08-02 | 999.4744 | 0.05 | 49.97372 | 44.86407 | -0.5255614 |
| 2010-08-09 | 994.3648 | 0.05 | 49.71824 | 50.47155 | -5.6352083 |
| 2010-09-24 | 995.1181 | 0.05 | 49.75590 | 45.35572 | -4.8819017 |
| 2010-10-11 | 990.7179 | 0.05 | 49.53590 | 68.64525 | -9.2820837 |
| 2010-12-15 | 1009.8273 | 0.05 | 50.49136 | 40.22749 | 9.8272693 |
| 2010-12-27 | 999.5634 | 0.05 | 49.97817 | 47.08351 | -0.4366001 |
| 2011-03-16 | 996.6687 | 0.05 | 49.83344 | 51.90594 | -3.3312633 |
| 2011-05-19 | 998.7412 | 0.05 | 49.93706 | 46.81376 | -1.2587599 |
| 2011-06-16 | 995.6179 | 0.05 | 49.78090 | 46.74336 | -4.3820572 |
| 2011-07-18 | 992.5804 | 0.05 | 49.62902 | 47.45796 | -7.4195945 |
| 2011-07-28 | 990.4093 | 0.05 | 49.52047 | 48.14490 | -9.5906522 |
| 2011-08-03 | 989.0338 | 0.05 | 49.45169 | 45.41149 | -10.9662207 |
| 2011-10-04 | 984.9936 | 0.05 | 49.24968 | 55.49028 | -15.0064227 |
| 2011-12-13 | 991.2342 | 0.05 | 49.56171 | 54.19818 | -8.7658187 |
| 2012-04-10 | 995.8707 | 0.05 | 49.79353 | 41.62728 | -4.1293468 |
| 2012-07-25 | 987.7044 | 0.05 | 49.38522 | 48.52267 | -12.2956041 |
| 2012-08-28 | 986.8418 | 0.05 | 49.34209 | 43.02630 | -13.1581541 |
| 2012-09-27 | 980.5261 | 0.05 | 49.02630 | 48.77574 | -19.4739420 |
| 2012-10-08 | 980.2755 | 0.05 | 49.01377 | 52.67036 | -19.7245023 |
| 2012-12-31 | 983.9321 | 0.05 | 49.19660 | 47.80679 | -16.0679191 |
| 2013-01-10 | 982.5423 | 0.05 | 49.12711 | 50.28650 | -17.4577338 |
| 2013-02-22 | 983.7016 | 0.05 | 49.18508 | 44.71022 | -16.2983507 |
| 2013-03-19 | 979.2268 | 0.05 | 48.96134 | 221.72309 | -20.7732087 |
| 2013-10-10 | 1151.9885 | 0.05 | 57.59943 | 50.93511 | 151.9885442 |
| 2013-10-23 | 1145.3242 | 0.05 | 57.26621 | 66.76008 | 145.3242250 |
| 2014-01-14 | 1154.8181 | 0.05 | 57.74090 | 77.67388 | 154.8180942 |
| 2014-03-25 | 1174.7511 | 0.05 | 58.73755 | 50.34324 | 174.7510721 |
| 2014-05-08 | 1166.3568 | 0.05 | 58.31784 | 61.16919 | 166.3567541 |
| 2014-07-11 | 1169.2081 | 0.05 | 58.46041 | 68.15634 | 169.2081109 |
| 2014-09-18 | 1178.9040 | 0.05 | 58.94520 | 55.42887 | 178.9040462 |
| 2014-10-13 | 1175.3877 | 0.05 | 58.76939 | 56.80788 | 175.3877114 |
| 2014-12-02 | 1173.4262 | 0.05 | 58.67131 | 55.72680 | 173.4262014 |
| 2015-01-06 | 1170.4817 | 0.05 | 58.52408 | 54.69566 | 170.4816962 |
| 2015-02-17 | 1166.6533 | 0.05 | 58.33266 | 57.54229 | 166.6532679 |
| 2015-02-25 | 1165.8629 | 0.05 | 58.29314 | 56.98329 | 165.8628907 |
| 2015-03-26 | 1164.5530 | 0.05 | 58.22765 | 74.42601 | 164.5530334 |
| 2015-07-14 | 1180.7514 | 0.05 | 59.03757 | 59.61712 | 180.7513870 |
| 2015-07-28 | 1181.3309 | 0.05 | 59.06655 | 61.11006 | 181.3309354 |
| 2015-09-08 | 1183.3744 | 0.05 | 59.16872 | 56.89300 | 183.3744480 |
| 2015-10-01 | 1181.0987 | 0.05 | 59.05494 | 52.20456 | 181.0987279 |
| 2015-11-13 | 1174.2484 | 0.05 | 58.71242 | 55.63033 | 174.2483553 |
| 2015-12-14 | 1171.1663 | 0.05 | 58.55831 | 54.24654 | 171.1662651 |
| 2016-01-07 | 1166.8545 | 0.05 | 58.34272 | 71.20051 | 166.8544962 |
| 2016-05-03 | 1179.7123 | 0.05 | 58.98561 | 58.56381 | 179.7122784 |
| 2016-06-15 | 1179.2905 | 0.05 | 58.96452 | 61.22575 | 179.2904728 |
| 2016-08-17 | 1181.5517 | 0.05 | 59.07758 | 58.58977 | 181.5516977 |
| 2016-09-30 | 1181.0639 | 0.05 | 59.05319 | 55.98911 | 181.0638801 |
| 2016-10-10 | 1177.9998 | 0.05 | 58.89999 | 54.71064 | 177.9997993 |
| 2016-11-01 | 1173.8105 | 0.05 | 58.69052 | 54.27386 | 173.8104542 |
| 2016-12-02 | 1169.3938 | 0.05 | 58.46969 | 76.07775 | 169.3937883 |
| 2017-02-28 | 1187.0018 | 0.05 | 59.35009 | 70.50877 | 187.0018458 |
| 2017-05-24 | 1198.1605 | 0.05 | 59.90803 | 59.81600 | 198.1605267 |
| 2017-07-05 | 1198.0685 | 0.05 | 59.90343 | 59.00139 | 198.0685021 |
| 2017-08-23 | 1197.1665 | 0.05 | 59.85832 | 59.09916 | 197.1664633 |
| 2017-08-28 | 1196.4073 | 0.05 | 59.82037 | 59.09075 | 196.4073030 |
| 2017-09-07 | 1195.6777 | 0.05 | 59.78388 | 63.27939 | 195.6776836 |
| 2017-09-11 | 1199.1732 | 0.05 | 59.95866 | 57.13026 | 199.1731861 |
| 2017-09-26 | 1196.3448 | 0.05 | 59.81724 | 57.64455 | 196.3447914 |
| 2017-10-23 | 1194.1721 | 0.05 | 59.70860 | 55.20933 | 194.1720996 |
| 2017-12-28 | 1189.6728 | 0.05 | 59.48364 | 60.99293 | 189.6728229 |
| 2018-02-07 | 1191.1821 | 0.05 | 59.55911 | 58.66383 | 191.1821093 |
| 2018-02-09 | 1190.2868 | 0.05 | 59.51434 | 56.04941 | 190.2868379 |
| 2018-03-07 | 1186.8219 | 0.05 | 59.34110 | 58.16349 | 186.8219039 |
| 2018-04-23 | 1185.6443 | 0.05 | 59.28221 | 58.36244 | 185.6442981 |
| 2018-05-03 | 1184.7245 | 0.05 | 59.23623 | 56.21357 | 184.7245225 |
| 2018-05-16 | 1181.7019 | 0.05 | 59.08509 | 61.80019 | 181.7018655 |
| 2018-07-05 | 1184.4170 | 0.05 | 59.22085 | 52.45495 | 184.4169663 |
| 2018-08-20 | 1177.6511 | 0.05 | 58.88255 | 50.44367 | 177.6510633 |
| 2018-09-28 | 1169.2122 | 0.05 | 58.46061 | 59.08613 | 169.2121788 |
| 2018-12-20 | 1169.8377 | 0.05 | 58.49188 | 50.45568 | 169.8376972 |
| 2019-01-22 | 1161.8015 | 0.05 | 58.09007 | 54.79707 | 161.8014942 |
| 2019-04-05 | 1158.5085 | 0.05 | 57.92542 | 64.91623 | 158.5084874 |
| 2019-07-29 | 1165.4993 | 0.05 | 58.27496 | 59.80223 | 165.4992965 |
| 2019-10-07 | 1167.0266 | 0.05 | 58.35133 | 185.03988 | 167.0265580 |
| 2020-03-02 | 1293.7151 | 0.05 | 64.68576 | 140.53890 | 293.7151111 |
| 2020-08-11 | 1369.5683 | 0.05 | 68.47841 | 78.65594 | 369.5682552 |
| 2020-09-10 | 1379.7458 | 0.05 | 68.98729 | 60.90526 | 379.7457808 |
| 2020-09-24 | 1371.6637 | 0.05 | 68.58319 | 69.14732 | 371.6637497 |
| 2020-10-27 | 1372.2279 | 0.05 | 68.61139 | 67.44791 | 372.2278829 |
| 2020-11-11 | 1371.0644 | 0.05 | 68.55322 | 123.78369 | 371.0644020 |
| 2021-02-16 | 1426.2949 | 0.05 | 71.31474 | 75.30260 | 426.2948676 |
| 2021-04-30 | 1430.2827 | 0.05 | 71.51414 | 76.24182 | 430.2827236 |
| 2021-07-20 | 1435.0104 | 0.05 | 71.75052 | 70.50335 | 435.0104074 |
| 2021-07-23 | 1433.7632 | 0.05 | 71.68816 | 72.47234 | 433.7632394 |
| 2021-07-28 | 1434.5474 | 0.05 | 71.72737 | 70.96793 | 434.5474216 |
| 2021-08-20 | 1433.7880 | 0.05 | 71.68940 | 102.51493 | 433.7879823 |
| 2021-12-06 | 1464.6135 | 0.05 | 73.23068 | 66.90210 | 464.6135104 |
| 2022-01-19 | 1458.2849 | 0.05 | 72.91425 | 79.26894 | 458.2849335 |
| 2022-04-25 | 1464.6396 | 0.05 | 73.23198 | NA | 464.6396300 |
| Investment_from | Total_portfolio | Investment_percent | investment_money | total_saved | Strategy_returns |
|---|---|---|---|---|---|
| 2009-12-16 | 1000.0000 | 0.05 | 50.00000 | 59.06976 | 0.000000 |
| 2012-12-19 | 1009.0698 | 0.05 | 50.45349 | 50.08293 | 9.069764 |
| 2013-12-18 | 1008.6992 | 0.05 | 50.43496 | 51.02606 | 8.699202 |
| 2014-03-12 | 1009.2903 | 0.05 | 50.46452 | 45.23075 | 9.290303 |
| 2014-12-17 | 1004.0565 | 0.05 | 50.20283 | 55.25623 | 4.056533 |
| 2018-02-23 | 1009.1099 | 0.05 | 50.45550 | 36.05840 | 9.109940 |
| 2009-03-17 | 994.7128 | 0.05 | 49.73564 | 57.77574 | -5.287161 |
| 2010-05-17 | 1002.7529 | 0.05 | 50.13765 | 53.04810 | 2.752935 |
| 2012-03-23 | 1005.6634 | 0.05 | 50.28317 | 49.87825 | 5.663393 |
| 2013-05-08 | 1005.2585 | 0.05 | 50.26292 | 41.26557 | 5.258476 |
| 2015-03-18 | 996.2611 | 0.05 | 49.81306 | 49.22641 | -3.738878 |
| 2016-04-28 | 995.6745 | 0.05 | 49.78372 | 48.45997 | -4.325521 |
| 2017-04-27 | 994.3507 | 0.05 | 49.71754 | 49.76372 | -5.649280 |
| 2018-04-30 | 994.3969 | 0.05 | 49.71985 | 48.36131 | -5.603092 |
| 2018-06-15 | 993.0384 | 0.05 | 49.65192 | 66.53019 | -6.961630 |
| 2008-08-13 | 1009.9166 | 0.05 | 50.49583 | 63.25012 | 9.916643 |
| 2011-08-15 | 1022.6709 | 0.05 | 51.13355 | 50.83922 | 22.670935 |
| 2011-08-19 | 1022.3766 | 0.05 | 51.11883 | 50.57101 | 22.376611 |
| 2011-09-15 | 1021.8288 | 0.05 | 51.09144 | 50.48933 | 21.828789 |
| 2012-08-31 | 1021.2267 | 0.05 | 51.06133 | 44.34096 | 21.226676 |
| 2013-06-19 | 1014.5063 | 0.05 | 50.72532 | 50.60462 | 14.506300 |
| 2014-08-07 | 1014.3856 | 0.05 | 50.71928 | 49.93180 | 14.385604 |
| 2014-09-10 | 1013.5981 | 0.05 | 50.67991 | 50.79481 | 13.598120 |
| 2016-09-15 | 1013.7130 | 0.05 | 50.68565 | 48.51143 | 13.713024 |
| 2018-06-20 | 1011.5388 | 0.05 | 50.57694 | 48.78641 | 11.538806 |
| 2008-10-09 | 1009.7483 | 0.05 | 50.48741 | 56.50998 | 9.748278 |
| 2010-12-01 | 1015.7708 | 0.05 | 50.78854 | 49.65748 | 15.770846 |
| 2011-09-30 | 1014.6398 | 0.05 | 50.73199 | 48.93808 | 14.639788 |
| 2011-11-22 | 1012.8459 | 0.05 | 50.64229 | 49.31844 | 12.845877 |
| 2011-12-15 | 1011.5220 | 0.05 | 50.57610 | 46.20073 | 11.522022 |
| 2013-09-18 | 1007.1467 | 0.05 | 50.35733 | 50.30928 | 7.146654 |
| 2016-11-18 | 1007.0986 | 0.05 | 50.35493 | 48.40148 | 7.098603 |
| 2017-11-02 | 1005.1452 | 0.05 | 50.25726 | 49.27035 | 5.145155 |
| 2018-12-13 | 1004.1582 | 0.05 | 50.20791 | 55.14029 | 4.158244 |
| 2020-12-14 | 1009.0906 | 0.05 | 0.00000 | NA | 9.090617 |
By using EMA strategy, strategy returns are performing better than total returns on instruments that do not fluctuate a lot and are not drastically growing/shrinking. It is clear that MA strategy works on short-term investments only.
In order to generate better techniques for the whole portfolio, it is important to get the track from a specific date for all instruments at the same time. Then it is possible to work with the portfolio as desired. At this time, we have not looked at the general view, how one instrument’s strategy impacts the other ones and so on.